Generalization of geometric median

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10286469" target="_blank" >RIV/00216208:11320/14:10286469 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Generalization of geometric median

Popis výsledku v původním jazyce

The geometric median is a very robust method for estimating parameters of location. The eciency of this method is however rather poor. It was shown that the eciency can be improved by averaging of chosen observations, which lie in some sense around the original estimate. For this purpose we employ the median absolute deviation. The next step to improve the eciency, which is introduced in the paper, is to employ weights for observations according to their distance from the original estimate and then to compute the weighted mean. This approach is similar to the one of M estimates. Further we deal with a generalization of boxplot for multidimensional case. We suggest procedure based on the mentioned methods. This leads us to looking for quantiles, where we use a similar approach which was established by Koenker and Bassett. Since there is a direct connection between robust statistic and appearance of extreme events in a sense of economic prot we deal with analogy between the value at risk

Název v anglickém jazyce

Generalization of geometric median

Popis výsledku anglicky

The geometric median is a very robust method for estimating parameters of location. The eciency of this method is however rather poor. It was shown that the eciency can be improved by averaging of chosen observations, which lie in some sense around the original estimate. For this purpose we employ the median absolute deviation. The next step to improve the eciency, which is introduced in the paper, is to employ weights for observations according to their distance from the original estimate and then to compute the weighted mean. This approach is similar to the one of M estimates. Further we deal with a generalization of boxplot for multidimensional case. We suggest procedure based on the mentioned methods. This leads us to looking for quantiles, where we use a similar approach which was established by Koenker and Bassett. Since there is a direct connection between robust statistic and appearance of extreme events in a sense of economic prot we deal with analogy between the value at risk

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Conference Proceedings of the 32nd International Conference Mathematical Methods in Economics MME 2014

ISBN

978-80-244-4209-9

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

31-36

Název nakladatele

Palacký University

Místo vydání

Olomouc

Místo konání akce

Olomouc

Datum konání akce

10. 9. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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